Examining and Modeling the Dynamics of the Volatility Surface

The objective of this paper is to investigate and model the characteristics of the prevailing volatility smiles and surfaces on the DAX- and ESX-index options markets. Continuing on the trend of Implied Volatility Functions, the Standardized Log-Moneyness model is introduced and fitted to historical data. The model replaces the constant volatility parameter of the Black & Scholes pricing model with a matrix of volatilities with respect to moneyness and maturity and is tested out-of-sample. Considering the dynamics, the results show support for the hypotheses put forward in this study, implying that the smile increases in magnitude when maturity and ATM volatility decreases and that there is a negative/positive correlation between a change in the underlying asset/time to maturity and implied ATM volatility. Further, the Standardized Log-Moneyness model indicates an improvement to pricing accuracy compared to previous Implied Volatility Function models, however indicating that the parameters of the models are to be re-estimated continuously for the models to fully capture the changing dynamics of the volatility smiles.

Wavelength/Time Multiple-Pulses-per-Row codes: Construction and verification

Two dimensional Optical Orthogonal Codes (OOCs) named Wavelength/Time Multiple-Pulses-per-Row (W/T MPR) codes suitable for use in incoherent fiber-optic code division multiple access (FO-CDMA) networks are reported in [6]. In this paper, we report the construction of W/T MPR codes, using Greedy Algorithm (GA), with distinct 1-D OOCs [1] as the row vectors. We present the W/T MPR codes obtained using the GA. Further, we verify the correlation properties of the generated W/T MPR codes using Matlab.

The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection probabilities that are closer to the nominal level than the rejection probabilities of the correspond- ing asymptotic tests. The e¤ect of bootstrapping the test on its power is largely unknown. We show that a new computationally inexpensive procedure can be applied to the estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is found to have a power function close to that of the level-adjusted asymp- totic test. The bootstrap test estimates the level-adjusted power of the asymptotic test highly accurately. The bootstrap test may have low power to reject the null hypothesis of cointegration rank zero, or underestimate the cointegration rank. An empirical application to Euribor interest rates is provided as an illustration of the findings.

Direct observation of low frequency confined acoustic phonons in silver nanoparticles: Terahertz time domain spectroscopy

Terahertz time domain spectroscopy has been used to study low frequency confined acoustic phonons of silver nanoparticles embedded in poly (vinyl alcohol) matrix in the spectral range of 0.1-2.5 THz. The real and imaginary parts of the dielectric function show two bands at 0.60 and 2.12 THz attributed to the spheroidal and toroidal modes of silver nanoparticles, thus demonstrating the usefulness of terahertz time domain spectroscopy as a complementary technique to Raman spectroscopy in characterizing the nanoparticles. (C) 2010 American Institute of Physics. [doi:10.1063/1.3456372]

Transient Momentum and Enthalpy Transfer in Packed Beds at High Reynolds Numbers

An experimental study for transient temperature response and pressure drop in a randomly packed bed at high Reynolds numbers is presented.The packed bed is used as a compact heat exchanger along with a solid-propellant gas generator, to generate room-temperature gases for use in control actuation, air bottle pressurization, etc. Packed beds of lengths 200 and 300 mm were characterized for packing-sphere-based Reynolds numbers ranging from 0.8 x 10(4) to 8.5 x 10(4).The solid packing used in the bed consisted of phi 9.5 mm steel spheres. The bed-to-particle diameter ratio was with the average packed-bed porosity around 0.43. The inlet flow temperature was unsteady and a mesh of spheres was used at either end to eliminate flow entrance and exit effects. Gas temperature and pressure were measured at the entry, exit,and at three axial locations along centerline in the packed beds. The solid packing temperature was measured at three axial locations in the packed bed. A correlation based on the ratio of pressure drop and inlet-flow momentum (Euler number) exhibited an asymptotically decreasing trend with increasing Reynolds number. Axial conduction across the packed bed was found to he negligible in the investigated Reynolds number range. The enthalpy absorption rate to solid packing from hot gases is plotted as a function of a nondimensional time constant for different Reynolds numbers. A longer packed bed had high enthalpy absorption rate at Reynolds number similar to 10(4), which decreased at Reynolds number similar to 10(5). The enthalpy absorption plots can be used for estimating enthalpy drop across packed bed with different material, but for a geometrically similar packing.

Filter design using radial basis function neural network and genetic algorithm for improved operational health monitoring

The problem of denoising damage indicator signals for improved operational health monitoring of systems is addressed by applying soft computing methods to design filters. Since measured data in operational settings is contaminated with noise and outliers, pattern recognition algorithms for fault detection and isolation can give false alarms. A direct approach to improving the fault detection and isolation is to remove noise and outliers from time series of measured data or damage indicators before performing fault detection and isolation. Many popular signal-processing approaches do not work well with damage indicator signals, which can contain sudden changes due to abrupt faults and non-Gaussian outliers. Signal-processing algorithms based on radial basis function (RBF) neural network and weighted recursive median (WRM) filters are explored for denoising simulated time series. The RBF neural network filter is developed using a K-means clustering algorithm and is much less computationally expensive to develop than feedforward neural networks trained using backpropagation. The nonlinear multimodal integer-programming problem of selecting optimal integer weights of the WRM filter is solved using genetic algorithm. Numerical results are obtained for helicopter rotor structural damage indicators based on simulated frequencies. Test signals consider low order polynomial growth of damage indicators with time to simulate gradual or incipient faults and step changes in the signal to simulate abrupt faults. Noise and outliers are added to the test signals. The WRM and RBF filters result in a noise reduction of 54 - 71 and 59 - 73% for the test signals considered in this study, respectively. Their performance is much better than the moving average FIR filter, which causes significant feature distortion and has poor outlier removal capabilities and shows the potential of soft computing methods for specific signal-processing applications.

Correlation between stick-slip frictional sliding and charge transfer

A decade ago, Budakian and Putterman [Phys. Rev. Lett. 85, 1000 (2000)] ascribed friction to the formation of bonds arising from contact charging when a gold tip of a surface force apparatus was dragged on polymethylmethacrylate surface. We propose a stick-slip model that captures the observed correlation between stick-slip events and charge transfer, and the lack of dependence of the scale factor connecting the force jumps and charge transfer on normal load. Here, stick-slip dynamics arises as a competition between the viscoelastic and plastic deformation time scales and that due to the pull speed with contact charging playing a minor role. Our model provides an alternate basis for explaining most experimental results without ascribing friction to contact charging.

Mooij correlation in disordered metals

We point out that the Mooij correlation follows naturally from a dynamically disordered tight-binding Hamiltonian with random modulations of both the diagonal and the off-diagonal matrix elements which are known to act in opposition. The dynamic disorder is treated exactly while the static disorder is incorporated approximately as an effective additional time-dependent disorder affecting the diffusive electron. Such a time translation of static disorder is known to manifest itself in certain limits as a renormalization of the diffusion coefficient. The calculated conductivity exhibits the Mooij correlation at high temperatures, where quantum coherence associated with the static disorder can be ignored.

Optimal infinite-horizon feedback laws for a general class of constrained discrete-time systems: stability and moving-horizon approximations

Stability results are given for a class of feedback systems arising from the regulation of time-varying discrete-time systems using optimal infinite-horizon and moving-horizon feedback laws. The class is characterized by joint constraints on the state and the control, a general nonlinear cost function and nonlinear equations of motion possessing two special properties. It is shown that weak conditions on the cost function and the constraints are sufficient to guarantee uniform asymptotic stability of both the optimal infinite-horizon and movinghorizon feedback systems. The infinite-horizon cost associated with the moving-horizon feedback law approaches the optimal infinite-horizon cost as the moving horizon is extended.

Measurement of FSH in the ovarian tissue by radioimmunoassay: Correlation to serum FSH levels and follicular development in the hamster

A method is described for monitoring the concentration of endogenous receptor-bound gonadotropin in the ovarian tissue. This involved development of a radioimmunoassay procedure, the validity of which for measuring all of the tissue-bound hormone has been established. The specificity of the method of measurement was indicated by the fact that high levels of FSH could be measured only in target tissue such as follicles, while non-target organs showed little FSH. Using this method, the amount of FSH in the non-luteal ovarian tissue of the hamster at different stages of the estrous cycle was quantitated and compared with serum FSH levels found at these times. No correlation could be found between serum and tissue FSH levels at all times. On the morning of estrus, for example, when the serum level of FSH was high, the ovarian concentration was low, and on the evening of diestrus-2 the ovary exhibited high concentration of FSH, despite the serum FSH concentration being low at this time. The highest concentration of FSH in the ovary during the cycle was found on the evening of proestrus. Although a large amount of this was found in the Graafian follicles, a considerable amount could still be found in the �growing� follicles. Ovarian FSH concentration could be considered to be a reflection of FSH receptor content, since preventing the development of FSH receptors by blocking initiation of follicular development during the cycle resulted in a decrease in the concentration of FSH in the ovary. The high concentration of FSH in the ovary seen on the evening of diestrus-2 was not influenced either by varying the concentration of estrogen or by neutralization of LH. Neutralization of FSH on diestrus-2, on the other hand, caused a drastic reduction in the ovarian LH concentration on the next day (i.e. at proestrus), thus suggesting the importance of FSH in the induction of LH receptors.

The non-linear response of a gyrostabilized platform: Effects of correction torque time delay and of random inputs

First, the non-linear response of a gyrostabilized platform to a small constant input torque is analyzed in respect to the effect of the time delay (inherent or deliberately introduced) in the correction torque supplied by the servomotor, which itself may be non-linear to a certain extent. The equation of motion of the platform system is a third order nonlinear non-homogeneous differential equation. An approximate analytical method of solution of this equation is utilized. The value of the delay at which the platform response becomes unstable has been calculated by using this approximate analytical method. The procedure is illustrated by means of a numerical example. Second, the non-linear response of the platform to a random input has been obtained. The effects of several types of non-linearity on reducing the level of the mean square response have been investigated, by applying the technique of equivalent linearization and solving the resulting integral equations by using laguerre or Gaussian integration techniques. The mean square responses to white noise and band limited white noise, for various values of the non-linear parameter and for different types of non-linearity function, have been obtained. For positive values of the non-linear parameter the levels of the non-linear mean square responses to both white noise and band-limited white noise are low as compared to the linear mean square response. For negative values of the non-linear parameter the level of the non-linear mean square response at first increases slowly with increasing values of the non-linear parameter and then suddenly jumps to a high level, at a certain value of the non-linearity parameter.

Filter design using radial basis function neural network and genetic algorithm for improved operational health monitoring

The problem of denoising damage indicator signals for improved operational health monitoring of systems is addressed by applying soft computing methods to design filters. Since measured data in operational settings is contaminated with noise and outliers, pattern recognition algorithms for fault detection and isolation can give false alarms. A direct approach to improving the fault detection and isolation is to remove noise and outliers from time series of measured data or damage indicators before performing fault detection and isolation. Many popular signal-processing approaches do not work well with damage indicator signals, which can contain sudden changes due to abrupt faults and non-Gaussian outliers. Signal-processing algorithms based on radial basis function (RBF) neural network and weighted recursive median (WRM) filters are explored for denoising simulated time series. The RBF neural network filter is developed using a K-means clustering algorithm and is much less computationally expensive to develop than feedforward neural networks trained using backpropagation. The nonlinear multimodal integer-programming problem of selecting optimal integer weights of the WRM filter is solved using genetic algorithm. Numerical results are obtained for helicopter rotor structural damage indicators based on simulated frequencies. Test signals consider low order polynomial growth of damage indicators with time to simulate gradual or incipient faults and step changes in the signal to simulate abrupt faults. Noise and outliers are added to the test signals. The WRM and RBF filters result in a noise reduction of 54 - 71 and 59 - 73% for the test signals considered in this study, respectively. Their performance is much better than the moving average FIR filter, which causes significant feature distortion and has poor outlier removal capabilities and shows the potential of soft computing methods for specific signal-processing applications. (C) 2005 Elsevier B. V. All rights reserved.

"Musiikki merkitsee minulle paljon" : Asennetutkimus musiikin opiskelun merkityksellisyydestä peruskoulun 9. luokkalaisille

The main purpose of the Master Thesis was to find out what kind of attitudes the pupils in the 9th grade of Finnish comprehensive school have towards music as a school subject and compare it to the attitudes of the principals at a school level. The theoretical context of the research is based on the former studies of the significance of music education in the comprehensive school, the connection between learning and attitudes and the motivational factors towards the study motivation of music. In addition to this, I have analysed the role of the evaluation and the assessment from the point of view of developing the educational system and what is the role of management and leadership in relation to the pupils` behaviour and attitudes. The data of the research is the Finnish National Board of Education`s collected data of the assessment of the learning outcomes of arts education and it is nationally representative (N=5056 I phase and n=1570 II phase), both the Finnish-language and the Swedish-language pupil data. I have especially concentrated on the items of measuring the attitudes, the certain background variables and the questionnaire of the principals. The numerical data was analyzed using the multivariate statistical methods. The results of the research prove that in general the pupils and the principals think that music is quite significant as a school subject. The girls valued music on average more than the boys when comparing all the dimensions. The differences were systematic but the effect sizes were under 10 %. There were not statistically significant differences between the Finnish-language and the Swedish-language pupils. Comparing the grades of music in the 7th grade, the differences were growing linearly and the effect size was 15.7 %. There was a positive statistically significant correlation between the Significance of music and music as a hobby (Active interest in music, Informal interest in music, Taking part of music activities in the school) during free time. The strongest correlation were with the Active interest in music variable (r= 0.53, p= .000). Also the principals thought that music is important as a school subject considering the development of the pupil and the function of the school. The answers of the pupils were not clustering at a school level and there were no strong correlations between the attitudes of the pupils and the principals. A statistically nearly significant and a slight correlation (r= 0.21, p= .011) was found between the principals valuing the Significance of the music for school function and the pupils valuing the Benefits and hobbyism. The role of a well-motivated and active music teacher can be important from this point of view. The most important conclusion of the research was that the significance of music is a very personal individual level phenomenon. The results highlight also that in the pupils` opinion the most important thing about music lessons is to musical activity and learning as an experience.

Correlation of helicopter rotor aeroelastic response with HART-II wind tunnel test data

Purpose - This paper aims to validate a comprehensive aeroelastic analysis for a helicopter rotor with the higher harmonic control aeroacoustic rotor test (HART-II) wind tunnel test data. Design/methodology/approach - Aeroelastic analysis of helicopter rotor with elastic blades based on finite element method in space and time and capable of considering higher harmonic control inputs is carried out. Moderate deflection and coriolis nonlinearities are included in the analysis. The rotor aerodynamics are represented using free wake and unsteady aerodynamic models. Findings - Good correlation between analysis and HART-II wind tunnel test data is obtained for blade natural frequencies across a range of rotating speeds. The basic physics of the blade mode shapes are also well captured. In particular, the fundamental flap, lag and torsion modes compare very well. The blade response compares well with HART-II result and other high-fidelity aeroelastic code predictions for flap and torsion mode. For the lead-lag response, the present analysis prediction is somewhat better than other aeroelastic analyses. Research limitations/implications - Predicted blade response trend with higher harmonic pitch control agreed well with the wind tunnel test data, but usually contained a constant offset in the mean values of lead-lag and elastic torsion response. Improvements in the modeling of the aerodynamic environment around the rotor can help reduce this gap between the experimental and numerical results. Practical implications - Correlation of predicted aeroelastic response with wind tunnel test data is a vital step towards validating any helicopter aeroelastic analysis. Such efforts lend confidence in using the numerical analysis to understand the actual physical behavior of the helicopter system. Also, validated numerical analyses can take the place of time-consuming and expensive wind tunnel tests during the initial stage of the design process. Originality/value - While the basic physics appears to be well captured by the aeroelastic analysis, there is need for improvement in the aerodynamic modeling which appears to be the source of the gap between numerical predictions and HART-II wind tunnel experiments.

Terahertz Time Domain Spectroscopy to Detect Low-Frequency Vibrations of Double-Walled Carbon Nanotubes

We have measured the frequency-dependent real index of refraction and extinction coefficient (and hence the complex dielectric function) of a free-standing double-walled carbon nanotube film of thickness 200 nm by using terahertz time domain spectroscopy in the frequency range 0.1 to 2.5 THz. The real index of refraction and extinction coefficient have very high values of approximately 52 and 35, respectively, at 0.1 THz, which decrease at higher frequencies. Two low-frequency phonon modes of the carbon nanotubes at 0.45 and 0.75 THz were clearly observed for the first time in the real and imaginary parts of the complex dielectric function along with a broad resonance centred at around 1.45 THz, the latter being similar to that in single-walled carbon nanotubes assigned to electronic excitations. Our experiments bring out a possible application of double-walled carbon nanotube films as a neutral density filter in the THz range.